I still haven't seen all of season 2 yet. We don't have HBO, I managed to get ahold of seasn 1 and the first 3 episodes of 2 from my niece, but that is all she had.
Read the books though, even the latest one...#5? Once you start they are pretty impossible to put down.
HBO are soon going to find themselves poking RR Martin to hurry up and finish 6, 7 and however many books remain. After 5 there is no end in sight at all though. You have to wonder whether there actually IS an end.